Multi-Asset Monthly Comment - June 2023

RAM Global Multi-Asset

Sentiment remained positive in June. Risk assets closed the first half of the year comfortably up, supported by a more resilient economy in DM and better-than-expected corporate earnings. The belief that central banks are approaching peak interest rates also contributed to increased confidence. However, mixed signals persist in the macroeconomic landscape. While negative M2 growth, restrictive lending standards, and subdued manufacturing activity calls for caution, a robust services sector and a healthy job market argue for the opposite. As a result, equity volatility continued to decline, reaching levels last seen before the Covid-19 pandemic. The US and Japanese equity markets performed strongly in June, whereas European equities lagged other markets. In the credit market, IG indices were negatively affected by the duration effect, while HY names managed to close the month in positive territory due to favorable carry and spread effects. The euro appreciated against the US dollar, energy prices ended the month higher, and gold experienced a decline.

Within the Traditional Equity segment, Chinese Tech companies and US investments related to the AI theme were the primary contributors to performance. The Diversified Equity portfolio benefited from the climate-related and income themes. Liquid Alternative strategies generated positive returns, driven by gains realised in CTA, Equity Market Neutral, and Macro Systematic strategies. In Fixed Income, EUR HY corporate and financial exposures offset the negative contribution stemming from IG names. On the other hand, the Risk Reducing portfolio continued to exert downward pressure on overall performance. The ongoing decline in equity volatility presented challenges due to permanent tail hedging strategies employed in the portfolio. The main issue lies in the disconnect between equities and other asset classes volatility, as well as the market behavior suggesting a Goldilocks scenario for equities, despite central banks in DM being on a very restrictive path. Finally, strategies focused on yield curve/duration contributed negatively, along with tail-hedged FX and gold-related exposures.

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Important Information

RAM (Lux) Systematic Funds -Global Multi-Asset Fund is a Sub-Fund of RAM (Lux) Systematic Funds, a Luxembourg SICAV with registered office: 14, Boulevard Royal L-2449 Luxembourg, approved by the CSSF and constituting a UCITS (Directive 2009/65/EC).
RAM (Lux) Tactical Funds -SUSTAINABLE NEXTGEN TMF* 2028 FUND and SUSTAINABLE FLEXIBLE FUND are a Sub-Funds of RAM (Lux) Tactical Funds, a Luxembourg SICAV with registered office: 14, Boulevard Royal L-2449Luxembourg, approved by the CSSF and constituting a UCITS (Directive 2009/65/EC).
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